Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0493
Annualized Std Dev 0.2000
Annualized Sharpe (Rf=0%) 0.2468

Row

Daily Return Statistics

Close
Observations 5235.0000
NAs 1.0000
Minimum -0.1170
Quartile 1 -0.0045
Median 0.0007
Arithmetic Mean 0.0003
Geometric Mean 0.0002
Quartile 3 0.0058
Maximum 0.1283
SE Mean 0.0002
LCL Mean (0.95) -0.0001
UCL Mean (0.95) 0.0006
Variance 0.0002
Stdev 0.0126
Skewness -0.1465
Kurtosis 12.0785

Downside Risk

Close
Semi Deviation 0.0091
Gain Deviation 0.0091
Loss Deviation 0.0102
Downside Deviation (MAR=210%) 0.0137
Downside Deviation (Rf=0%) 0.0090
Downside Deviation (0%) 0.0090
Maximum Drawdown 0.6191
Historical VaR (95%) -0.0189
Historical ES (95%) -0.0307
Modified VaR (95%) -0.0179
Modified ES (95%) -0.0229
From Trough To Depth Length To Trough Recovery
2007-06-05 2009-03-09 2013-10-22 -0.6191 1609 444 1165
2020-02-14 2020-03-23 2021-01-06 -0.3851 226 26 200
2001-05-22 2002-10-09 2004-03-05 -0.3576 699 346 353
2018-01-29 2018-12-24 2019-11-04 -0.2034 446 229 217
2015-05-22 2016-02-11 2016-08-15 -0.1775 311 183 128

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2000 NA NA NA NA 0.9 -0.7 0.8 -0.2 -0.2 -0.9 -0.4 0.1 -0.5
2001 0.6 -0.7 1 0.8 0.2 0 0.3 0.6 -0.4 1.4 -0.2 -1 2.7
2002 -0.7 1.8 -0.6 1 -0.1 -1.4 -2.7 -0.2 4 1.1 0.1 -0.1 2
2003 1.2 0.8 1.9 0 2 1.2 -1 0.6 2.1 0.2 1.3 0.1 10.9
2004 -0.2 1 0.5 -0.7 0.2 -1.2 0.2 0.2 1.4 0.2 1.3 0.1 3
2005 0.9 0.2 -0.1 1.4 1.1 0.7 -0.1 0.6 0 0.4 1 -0.4 5.6
2006 0.6 0.7 0 -0.5 1 0.2 -0.1 0.7 -0.1 -0.5 0 -0.3 1.7
2007 0.7 -0.2 0 0.2 0.5 -0.1 0.4 1.1 1.4 -3.1 1.9 -0.7 2.1
2008 1.6 -2.6 3.2 1.6 -0.1 0.3 -0.2 -0.9 0 2.1 -9.2 1.9 -2.8
2009 -2.3 -2.5 1.7 0.6 1.7 0.3 0.2 -2.7 -2.8 -3.3 1.2 -0.9 -8.6
2010 1.7 1.1 0.9 -1.6 -2.2 -0.4 0.1 3 0.6 -0.1 2.1 0.1 5.4
2011 1.7 -1.8 0.5 0.2 -2.4 1.5 -0.2 -1.3 -2.5 -3.1 -0.3 -0.5 -8
2012 1.1 1 0.4 0.9 -2.5 2.4 -0.1 0.4 0.2 1.2 0.1 1.8 7
2013 0.9 0.3 -0.3 -1.1 -1.5 0.5 1.2 -0.3 0.7 0.3 -0.2 0.4 0.9
2014 -0.7 0.3 0.4 0 0.1 0.6 -0.2 0.3 -1.2 1 -0.5 -1.1 -1.1
2015 -1.4 -0.3 -0.4 0.9 0.1 0.6 -0.4 -3.1 0.1 -0.5 1 -0.8 -4.1
2016 -0.3 2.3 0.5 -0.6 0.2 0.1 -0.5 -0.1 0.9 -0.7 0.2 -0.1 1.9
2017 -0.3 1.5 -0.3 0.1 0.9 0.1 0.2 0.4 0.2 0.3 0.1 -0.3 2.9
2018 0.2 -1.1 1.2 -0.2 0.8 0.1 -0.5 -0.1 0.3 0.8 0.6 0.9 3
2019 0.3 0.6 1.1 -0.8 -1.3 0.8 -1.2 0.2 -1.5 1.1 -0.4 0.3 -0.7
2020 -1.8 -1.2 -4.7 -3 0.5 -0.1 -0.3 0.3 0.2 0 0.9 0.8 -8.1
2021 1.1 2.3 -0.4 NA NA NA NA NA NA NA NA NA 3

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl> <dbl>    <dbl>
1 2000-05-26  55.5 SPY    138   0.0011  -0.0221  -0.0548   0.0138   0.0599       NA       NA <NA>     NA    NA       NA
2 2000-05-30  56.1 SPY    143.  0.0342   0.019   -0.0164   0.0384   0.1          NA       NA <NA>     NA    NA       NA
3 2000-05-31  56.5 SPY    143.  0.0007   0.0349  -0.0289   0.0316   0.0996       NA       NA <NA>     NA    NA       NA
4 2000-06-01  57.1 SPY    145.  0.0175   0.0361   0.0082   0.049    0.113        NA       NA <NA>     NA    NA       NA
5 2000-06-02  58.1 SPY    148.  0.0174   0.0725   0.0439   0.0476   0.110        NA       NA <NA>     NA    NA       NA
6 2000-06-05  57.8 SPY    147. -0.0049   0.0661   0.0375   0.0523   0.102        NA       NA <NA>     NA    NA       NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart